Francis A. Longstaff : Citation Profile

Are you Francis A. Longstaff?

University of California-Los Angeles (UCLA)

27

H index

43

i10 index

6085

Citations

RESEARCH PRODUCTION:

37

Articles

35

Papers

RESEARCH ACTIVITY:

   35 years (1989 - 2024). See details.
   Cites by year: 173
   Journals where Francis A. Longstaff has often published
   Relations with other researchers
   Recent citing documents: 353.    Total self citations: 28 (0.46 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/plo283
   Updated: 2024-12-03    RAS profile: 2023-02-24    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Francis A. Longstaff.

Is cited by:

Xiao, Tim (37)

Chernov, Mikhail (32)

Pelizzon, Loriana (26)

Guidolin, Massimo (23)

Stentoft, Lars (22)

Lo, Andrew (21)

Monfort, Alain (20)

Augustin, Patrick (19)

Batten, Jonathan (19)

Zhou, Hao (18)

Shahzad, Syed Jawad Hussain (18)

Cites to:

Pedersen, Lasse (34)

Vayanos, Dimitri (32)

Duffie, Darrell (30)

Singleton, Kenneth (23)

Campbell, John (18)

Reinhart, Carmen (17)

Rogoff, Kenneth (17)

merton, robert (14)

Amihud, Yakov (13)

Brunnermeier, Markus (12)

Strebulaev, Ilya (10)

Main data

Where Francis A. Longstaff has published?

Journals with more than one article published# docs
Journal of Finance13
Journal of Financial Economics8
The Review of Financial Studies4
The Journal of Business3
Journal of Financial and Quantitative Analysis2
Journal of Banking & Finance2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc33

Recent works citing Francis A. Longstaff (2024 and 2023)

YearTitle of citing document
2023Exchange rate risk and sovereign debt risk in South Africa: A Regime Dependent Approach. (2023). Biyase, Mduduzi ; Manguzvane, Mathias. In: Economics Working Papers. RePEc:ady:wpaper:edwrg-04-2023.

Full description at Econpapers || Download paper

2023What Drives Credit Spreads of Oil Companies? Evidence from the Upstream, Integrated and Downstream Industries. (2023). Ha, Quan Tran ; Yihong, Simon Cottrell. In: The Energy Journal. RePEc:aen:journl:ej44-5-delpachitra.

Full description at Econpapers || Download paper

2023Risk management with Local Least Squares Monte-Carlo. (2023). Akbaraly, Adnane ; Hainaut, Donatien. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2023003.

Full description at Econpapers || Download paper

2023Analysis of Dynamic Connectedness among Sovereign CDS Premia. (2023). Ceylan, Ozcan. In: World Journal of Applied Economics. RePEc:ana:journl:v:9:y:2023:i:1:p:33-47.

Full description at Econpapers || Download paper

2024Beating the curse of dimensionality in options pricing and optimal stopping. (2018). Chen, Yilun ; Goldberg, David A. In: Papers. RePEc:arx:papers:1807.02227.

Full description at Econpapers || Download paper

2024Optimal Nested Simulation Experiment Design via Likelihood Ratio Method. (2020). Song, Eunhye ; ben Feng, Mingbin. In: Papers. RePEc:arx:papers:2008.13087.

Full description at Econpapers || Download paper

2024Solving optimal stopping problems with Deep Q-Learning. (2021). Ery, John ; Michel, Loris. In: Papers. RePEc:arx:papers:2101.09682.

Full description at Econpapers || Download paper

2023A nonparametric algorithm for optimal stopping based on robust optimization. (2021). Sturt, Bradley. In: Papers. RePEc:arx:papers:2103.03300.

Full description at Econpapers || Download paper

2023Optimal Stopping via Randomized Neural Networks. (2021). Herrera, Calypso ; Teichmann, Josef ; Ruyssen, Pierre ; Krach, Florian. In: Papers. RePEc:arx:papers:2104.13669.

Full description at Econpapers || Download paper

2024An efficient Monte Carlo method for utility-based pricing. (2021). Ferhoune, Massinissa ; Carassus, Laurence. In: Papers. RePEc:arx:papers:2105.08804.

Full description at Econpapers || Download paper

2023Recent Advances in Reinforcement Learning in Finance. (2021). Yang, Huining ; Xu, Renyuan ; Hambly, Ben. In: Papers. RePEc:arx:papers:2112.04553.

Full description at Econpapers || Download paper

2023Pricing Bermudan options using regression trees/random forests. (2021). Lelong, J'Erome ; Henry-Labordere, Pierre ; el Filali, Zineb. In: Papers. RePEc:arx:papers:2201.02587.

Full description at Econpapers || Download paper

2023Calibration of Derivative Pricing Models: a Multi-Agent Reinforcement Learning Perspective. (2022). Vadori, Nelson. In: Papers. RePEc:arx:papers:2203.06865.

Full description at Econpapers || Download paper

2023Neural Optimal Stopping Boundary. (2022). Tissot-Daguette, Valentin ; Soner, Mete H ; Reppen, Max A. In: Papers. RePEc:arx:papers:2205.04595.

Full description at Econpapers || Download paper

2023Randomized Optimal Stopping Problem in Continuous time and Reinforcement Learning Algorithm. (2022). Dong, Yuchao. In: Papers. RePEc:arx:papers:2208.02409.

Full description at Econpapers || Download paper

2023Valuation of general GMWB annuities in a low interest rate environment. (2022). Rotondi, Francesco ; Fontana, Claudio. In: Papers. RePEc:arx:papers:2208.10183.

Full description at Econpapers || Download paper

2024Sandwiched Volterra Volatility model: Markovian approximations and hedging. (2022). Yurchenko-Tytarenko, Anton ; di Nunno, Giulia. In: Papers. RePEc:arx:papers:2209.13054.

Full description at Econpapers || Download paper

2024Deep Signature Algorithm for Path-Dependent American option pricing. (2022). Bayraktar, Erhan ; Zhang, Zhaoyu ; Feng, QI. In: Papers. RePEc:arx:papers:2211.11691.

Full description at Econpapers || Download paper

2023A Comprehensive Survey on Enterprise Financial Risk Analysis: Problems, Methods, Spotlights and Applications. (2022). Du, Huaming ; Zhao, YU. In: Papers. RePEc:arx:papers:2211.14997.

Full description at Econpapers || Download paper

2024Accelerated Computations of Sensitivities for xVA. (2022). Wolf, Felix ; Grzelak, Lech A ; Deelstra, Griselda. In: Papers. RePEc:arx:papers:2211.17026.

Full description at Econpapers || Download paper

2024Quantum-Inspired Tensor Neural Networks for Option Pricing. (2022). Tziritas, Kris ; Dominguez, Tomas ; Sharma, Shivam ; Jahromi, Saeed S ; Orus, Roman ; Palmer, Samuel ; Mugel, Samuel ; Sahin, Serkan ; Castellani, Pierre ; Hsing, Chia-Wei ; Aubert, Stephane ; Patel, Raj G ; Abid, Mustafa ; Porte, Vincent ; Michel, Christophe . In: Papers. RePEc:arx:papers:2212.14076.

Full description at Econpapers || Download paper

2023Double free boundary problem for defaultable corporate bond with credit rating migration risks and their asymptotic behaviors. (2023). Brauner, Claude-Michel ; Liang, Jin ; Dong, Yuchao. In: Papers. RePEc:arx:papers:2301.10898.

Full description at Econpapers || Download paper

2024Simultaneous upper and lower bounds of American option prices with hedging via neural networks. (2023). Wu, Jia Hao ; Langren, Nicolas ; Guo, Ivan. In: Papers. RePEc:arx:papers:2302.12439.

Full description at Econpapers || Download paper

2023Fast Option Pricing using Nonlinear Stencils. (2023). Zhu, Yimin ; Huang, Yushen ; Das, Rathish ; Chowdhury, Rezaul ; Ahmad, Zafar. In: Papers. RePEc:arx:papers:2303.02317.

Full description at Econpapers || Download paper

2024Application of Tensor Neural Networks to Pricing Bermudan Swaptions. (2023). Casanova, Francisco Gomez ; Ratnani, Abdelkader ; de Lope, Fernando ; Cadarso, Andrea ; Palmer, Samuel ; Orus, Roman ; Dib, Mohammad ; Mugel, Samuel ; Dominguez, Tomas ; Patel, Raj G ; Luis-Hita, Jorge ; Andr, Eva ; Hern, Senaida. In: Papers. RePEc:arx:papers:2304.09750.

Full description at Econpapers || Download paper

2023Random neural networks for rough volatility. (2023). Zuric, Zan ; Jacquier, Antoine. In: Papers. RePEc:arx:papers:2305.01035.

Full description at Econpapers || Download paper

2024Finite Difference Solution Ansatz approach in Least-Squares Monte Carlo. (2023). Huo, Jiawei. In: Papers. RePEc:arx:papers:2305.09166.

Full description at Econpapers || Download paper

2023Efficient Learning of Nested Deep Hedging using Multiple Options. (2023). Shimada, Takuya ; Minami, Kentaro ; Imajo, Kentaro ; Hirano, Masanori. In: Papers. RePEc:arx:papers:2305.12264.

Full description at Econpapers || Download paper

2024Swing Contract Pricing: A Parametric Approach with Adjoint Automatic Differentiation and Neural Networks. (2023). Yeo, Christian ; Pages, Gilles ; Lemaire, Vincent. In: Papers. RePEc:arx:papers:2306.03822.

Full description at Econpapers || Download paper

2023An analysis of least squares regression and neural networks approximation for the pricing of swing options. (2023). Yeo, Christian. In: Papers. RePEc:arx:papers:2307.04510.

Full description at Econpapers || Download paper

2023A Common Shock Model for multidimensional electricity intraday price modelling with application to battery valuation. (2023). Warin, Xavier ; Deschatre, Thomas. In: Papers. RePEc:arx:papers:2307.16619.

Full description at Econpapers || Download paper

2024Regret-Optimal Federated Transfer Learning for Kernel Regression with Applications in American Option Pricing. (2023). Lucchi, Aurelien ; Grasselli, Matheus ; Krach, Florian ; Kratsios, Anastasis ; Yang, Xuwei. In: Papers. RePEc:arx:papers:2309.04557.

Full description at Econpapers || Download paper

2023Portfolio Choice In Dynamic Thin Markets: Merton Meets Cournot. (2023). Jacka, Saul D ; Gupta, Puru. In: Papers. RePEc:arx:papers:2309.16047.

Full description at Econpapers || Download paper

2023Applying Reinforcement Learning to Option Pricing and Hedging. (2023). Stoiljkovic, Zoran. In: Papers. RePEc:arx:papers:2310.04336.

Full description at Econpapers || Download paper

2023American Option Pricing using Self-Attention GRU and Shapley Value Interpretation. (2023). Shen, Yanhui. In: Papers. RePEc:arx:papers:2310.12500.

Full description at Econpapers || Download paper

2023On an Optimal Stopping Problem with a Discontinuous Reward. (2023). Vachon, Marie-Claude ; MacKay, Anne. In: Papers. RePEc:arx:papers:2311.03538.

Full description at Econpapers || Download paper

2023Occupied Processes: Going with the Flow. (2023). Tissot-Daguette, Valentin. In: Papers. RePEc:arx:papers:2311.07936.

Full description at Econpapers || Download paper

2023Towards Sobolev Pruning. (2023). Afghan, Sher ; Kichler, Neil ; Naumann, Uwe. In: Papers. RePEc:arx:papers:2312.03510.

Full description at Econpapers || Download paper

2024Quasi-Monte Carlo for Efficient Fourier Pricing of Multi-Asset Options. (2024). Tempone, Ra'Ul ; Samet, Michael ; Papapantoleon, Antonis ; ben Hammouda, Chiheb ; Bayer, Christian. In: Papers. RePEc:arx:papers:2403.02832.

Full description at Econpapers || Download paper

2024On the Hull-White model with volatility smile for Valuation Adjustments. (2024). Oosterlee, C W ; Grzelak, L A ; van der Zwaard, T. In: Papers. RePEc:arx:papers:2403.14841.

Full description at Econpapers || Download paper

2024Enhancing Valuation of Variable Annuities in L\evy Models with Stochastic Interest Rate. (2024). Zanette, Antonino ; Wei, Xiao ; Molent, Andrea ; Goudenege, Ludovic. In: Papers. RePEc:arx:papers:2404.07658.

Full description at Econpapers || Download paper

2024Deep Joint Learning valuation of Bermudan Swaptions. (2024). 'Alvaro Leitao, ; Casanova, Francisco G'Omez ; de Lope, Fernando. In: Papers. RePEc:arx:papers:2404.11257.

Full description at Econpapers || Download paper

2024Piercing the Veil of TVL: DeFi Reappraised. (2024). Feng, Yebo ; Luo, Yichen ; Tasca, Paolo ; Xu, Jiahua. In: Papers. RePEc:arx:papers:2404.11745.

Full description at Econpapers || Download paper

2024A pure dual approach for hedging Bermudan options. (2024). Lelong, J'Erome ; Kebaier, Ahmed ; Alfonsi, Aur'Elien. In: Papers. RePEc:arx:papers:2404.18761.

Full description at Econpapers || Download paper

2024Mathematics of Differential Machine Learning in Derivative Pricing and Hedging. (2024). Gomes, Pedro Duarte. In: Papers. RePEc:arx:papers:2405.01233.

Full description at Econpapers || Download paper

2024Gradient-enhanced sparse Hermite polynomial expansions for pricing and hedging high-dimensional American options. (2024). Li, Guanglian ; Yang, Jiefei. In: Papers. RePEc:arx:papers:2405.02570.

Full description at Econpapers || Download paper

2024Modelling Opaque Bilateral Market Dynamics in Financial Trading: Insights from a Multi-Agent Simulation Study. (2024). Walsh, Toby ; Vidler, Alicia. In: Papers. RePEc:arx:papers:2405.02849.

Full description at Econpapers || Download paper

2024Hedging American Put Options with Deep Reinforcement Learning. (2024). Lawryshyn, Yuri ; Schlener, Mario ; Dejesus, Julio ; Wredenhagen, Finn ; Pickard, Reilly. In: Papers. RePEc:arx:papers:2405.06774.

Full description at Econpapers || Download paper

2024Optimizing Deep Reinforcement Learning for American Put Option Hedging. (2024). Lawryshyn, Y ; Wredenhagen, F ; Pickard, Reilly. In: Papers. RePEc:arx:papers:2405.08602.

Full description at Econpapers || Download paper

2024Who should buy structured investment products and why?. (2024). Pedio, Manuela ; Leonetti, Giacomo ; Guidolin, Massimo. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp24222.

Full description at Econpapers || Download paper

2023Assessing the liquidity premium in the Italian bond market. (2023). Venturi, Giulio Carlo ; Drudi, Maria Ludovica. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_795_23.

Full description at Econpapers || Download paper

2023Money market funds and the pricing of near-money assets. (2023). Doerr, Sebastian ; Malamud, Semyon ; Eren, Sebastian Egemen. In: BIS Working Papers. RePEc:bis:biswps:1096.

Full description at Econpapers || Download paper

2023The cumulant risk premium. (2023). Todorov, Karamfil. In: BIS Working Papers. RePEc:bis:biswps:1128.

Full description at Econpapers || Download paper

2023Dealer capacity and US Treasury market functionality. (2023). Van Tassel, Peter ; Fleming, Michael ; Shachar, OR ; Nelson, Claire ; Keane, Frank ; Duffie, Darrell. In: BIS Working Papers. RePEc:bis:biswps:1138.

Full description at Econpapers || Download paper

2023Longitudinal accounting comparability and bond credit spreads: Evidence from China. (2023). Wang, Jianqiong ; Cao, Shijiao. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:2:p:1953-1981.

Full description at Econpapers || Download paper

2023Default risk and earnings expectations: The role of contract maturity in the credit default swap market. (2023). Taylor, Gary K ; Hill, Mary S. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:4:p:4275-4298.

Full description at Econpapers || Download paper

2024Risk contagion in financial markets: A systematic review using bibliometric methods. (2024). Zhou, Yunyan ; Zhai, Lili ; Su, Fei ; Wang, Feifan ; Zhuang, Zixi. In: Australian Economic Papers. RePEc:bla:ausecp:v:63:y:2024:i:1:p:163-199.

Full description at Econpapers || Download paper

2023Transmission of the 2007–2008 financial crisis in advanced countries of the European Union. (2023). Tomczak, Kamila. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:75:y:2023:i:1:p:40-64.

Full description at Econpapers || Download paper

2023Bondholder representatives on bank boards: A device for market discipline. (2023). Hieu, Phan Huy ; Strobel, Frank ; Lepetit, Laetitia ; Distinguin, Isabelle. In: Economic Inquiry. RePEc:bla:ecinqu:v:61:y:2023:i:3:p:738-765.

Full description at Econpapers || Download paper

2023How Risky Are U.S. Corporate Assets?. (2023). Yaron, Amir ; Shaliastovich, Ivan ; Richard, Scott ; Davydiuk, Tetiana. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:1:p:141-208.

Full description at Econpapers || Download paper

2023Trading and liquidity in the catastrophe bond market. (2023). Hibbeln, Martin ; Herrmann, Markus. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:90:y:2023:i:2:p:283-328.

Full description at Econpapers || Download paper

2023Cheaper by the bundle: The interaction of frictions and option exercise in variable annuities. (2023). Moenig, Thorsten ; Bauer, Daniel. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:90:y:2023:i:2:p:459-486.

Full description at Econpapers || Download paper

2023TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON-NESTED MONTE CARLO. (2009). Belomestny, Denis ; Bender, Christian ; Schoenmakers, John. In: Mathematical Finance. RePEc:bla:mathfi:v:19:y:2009:i:1:p:53-71.

Full description at Econpapers || Download paper

2023Pathwise CVA regressions with oversimulated defaults. (2023). Saadeddine, Bouazza ; Crepey, Stephane ; Abbasturki, Lokman A. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:2:p:274-307.

Full description at Econpapers || Download paper

2023Recent advances in reinforcement learning in finance. (2023). Yang, Huining ; Xu, Renyuan ; Hambly, Ben. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:3:p:437-503.

Full description at Econpapers || Download paper

2023Commercial Mortgage?Backed Security Pricing with Real Estate Liquidity Risk. (2021). Wu, Chunchi ; Liu, Peng ; Kozhanov, Igor ; Chen, Peimin. In: Real Estate Economics. RePEc:bla:reesec:v:49:y:2021:i:s2:p:490-525.

Full description at Econpapers || Download paper

2024Exchange Rates and Sovereign Risk: A Nonlinear Approach Based on Local Gaussian Correlations. (2024). Legrenzi, Gabriella Deborah ; Heinlein, Reinhold. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11019.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2024Mutual funds and safe government bonds: do returns matter?. (2024). Graziano, Marco ; Habib, Maurizio Michael. In: Working Paper Series. RePEc:ecb:ecbwps:20242931.

Full description at Econpapers || Download paper

2023A fully quantization-based scheme for FBSDEs. (2023). Grasselli, Martino ; Gnoatto, Alessandro ; Callegaro, Giorgia. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:441:y:2023:i:c:s0096300322007251.

Full description at Econpapers || Download paper

2023Foreign Exchange Options on Heston-CIR Model Under Lévy Process Framework. (2023). Orlando, Giuseppe ; Samimi, Oldouz ; Mehrdoust, Farshid ; Ascione, Giacomo. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:446:y:2023:i:c:s0096300323000206.

Full description at Econpapers || Download paper

2023Credit default swaps and corporate debt structure. (2023). Shan, Chenyu ; Saffar, Walid ; Chen, Yangyang ; Wang, Sarah Qian. In: Journal of Corporate Finance. RePEc:eee:corfin:v:83:y:2023:i:c:s0929119923001438.

Full description at Econpapers || Download paper

2024Partisan conflict and corporate credit spreads: The role of political connection. (2024). Wang, Liyao. In: Journal of Corporate Finance. RePEc:eee:corfin:v:84:y:2024:i:c:s092911992300175x.

Full description at Econpapers || Download paper

2024How does currency risk impact firms? New evidence from bank loan contracts. (2024). Hunter, Delroy M ; Francis, Bill B ; Bergbrant, Mikael C. In: Journal of Corporate Finance. RePEc:eee:corfin:v:84:y:2024:i:c:s092911992400004x.

Full description at Econpapers || Download paper

2023A revisit to sovereign risk contagion in eurozone with mutual exciting regime-switching model. (2023). Ge, Shuyi. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002688.

Full description at Econpapers || Download paper

2023Systemic risk of optioned portfolio: Controllability and optimization. (2023). Ma, Jiali ; Cui, Xueting ; Zhu, Shushang ; Pang, Xiaochuan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:153:y:2023:i:c:s0165188923001070.

Full description at Econpapers || Download paper

2024Risks and risk premia in the US Treasury market. (2024). Sarno, Lucio ; Zinna, Gabriele ; Li, Junye. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:158:y:2024:i:c:s016518892300194x.

Full description at Econpapers || Download paper

2023How does the bond market price corporate ESG engagement? Evidence from China. (2023). Tao, Chunhua ; Tang, Ziling ; Fang, Mei ; Xu, Yue ; Jiang, Zhiqian. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:78:y:2023:i:c:p:1406-1423.

Full description at Econpapers || Download paper

2023Using a price floor on carbon allowances to achieve emission reductions under uncertainty. (2023). Hueng, C. ; Lemke, Robert J ; Zhang, Xinhua. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:80:y:2023:i:c:p:1096-1110.

Full description at Econpapers || Download paper

2023Portfolio optimization in the presence of tail correlation. (2023). Chibane, Messaoud ; ben Abdelaziz, Fouad. In: Economic Modelling. RePEc:eee:ecmode:v:122:y:2023:i:c:s0264999323000470.

Full description at Econpapers || Download paper

2023Cross-border Italian sovereign risk transmission in EMU countries. (2023). Napolitano, Oreste ; Fiorelli, Cristiana ; D'Uva, Marcella ; Capasso, Salvatore. In: Economic Modelling. RePEc:eee:ecmode:v:126:y:2023:i:c:s0264999323002365.

Full description at Econpapers || Download paper

2023On foreign drivers of emerging markets fluctuations. (2023). Lorca, Jorge ; Bajraj, Gent ; Wlasiuk, Juan M. In: Economic Modelling. RePEc:eee:ecmode:v:129:y:2023:i:c:s0264999323003450.

Full description at Econpapers || Download paper

2023No place like home: Home bias and flight-to-quality in Group of Seven countries. (2023). Nagy, Balint-Zsolt ; Socaciu, Erzsebet-Mirjam ; Benedek, Botond. In: Economic Modelling. RePEc:eee:ecmode:v:129:y:2023:i:c:s0264999323003619.

Full description at Econpapers || Download paper

2023Identifying the true nature of price discovery and cross-market informational flow in the investment grade CDS and equity markets. (2023). Yin, Anwen ; Procasky, William J. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822002121.

Full description at Econpapers || Download paper

2024Stable paretian distribution, return generating processes and habit formation—The implication for equity premium puzzle. (2024). Li, Xiaotong ; So, Jacky Yuk-Chow ; Fu, QI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940823001869.

Full description at Econpapers || Download paper

2024Determinants of CDS in core and peripheral European countries: A comparative study during crisis and calm periods. (2024). Haddou, Samira. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000111.

Full description at Econpapers || Download paper

2024Dynamic volatility spillover and market emergency: Matching and forecasting. (2024). Chen, Jin ; Zhou, Wei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000354.

Full description at Econpapers || Download paper

2024Economic uncertainty and credit risk: Evidence from international corporate bonds. (2024). Valenzuela, Patricio ; Mella, Javier ; Claveria, Juan. In: Economics Letters. RePEc:eee:ecolet:v:237:y:2024:i:c:s0165176524001496.

Full description at Econpapers || Download paper

2023A simple joint model for returns, volatility and volatility of volatility. (2023). Ding, Yashuang. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:521-543.

Full description at Econpapers || Download paper

More than 100 citations found, this list is not complete...

Works by Francis A. Longstaff:

YearTitleTypeCited
2009Portfolio Claustrophobia: Asset Pricing in Markets with Illiquid Assets In: American Economic Review.
[Full Text][Citation analysis]		article37
2011How Sovereign Is Sovereign Credit Risk? In: American Economic Journal: Macroeconomics.
[Full Text][Citation analysis]		article649
2007How Sovereign is Sovereign Credit Risk?.(2007) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 649		paper
1990 Pricing Options with Extendible Maturities: Analysis and Applications. In: Journal of Finance.
[Full Text][Citation analysis]		article27
1990 Time Varying Term Premia and Traditional Hypotheses about the Term Structure. In: Journal of Finance.
[Full Text][Citation analysis]		article11
1992 Dual Trading in Futures Markets. In: Journal of Finance.
[Full Text][Citation analysis]		article58
1992 Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model. In: Journal of Finance.
[Full Text][Citation analysis]		article304
1995 A Simple Approach to Valuing Risky Fixed and Floating Rate Debt. In: Journal of Finance.
[Full Text][Citation analysis]		article773
1995 How Much Can Marketability Affect Security Values? In: Journal of Finance.
[Full Text][Citation analysis]		article69
2000Arbitrage and the Expectations Hypothesis In: Journal of Finance.
[Full Text][Citation analysis]		article20
2000Financial Innovation and the Role of Derivative Securities: An Empirical Analysis of the Treasury STRIPS Program In: Journal of Finance.
[Full Text][Citation analysis]		article35
2001The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence In: Journal of Finance.
[Full Text][Citation analysis]		article41
2003Dynamic Asset Allocation with Event Risk In: Journal of Finance.
[Full Text][Citation analysis]		article190
2002Dynamic Asset Allocation With Event Risk.(2002) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 190		paper
2005Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market In: Journal of Finance.
[Full Text][Citation analysis]		article883
2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market.(2004) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 883		paper
2007The U.S. Treasury Buyback Auctions: The Cost of Retiring Illiquid Bonds In: Journal of Finance.
[Full Text][Citation analysis]		article10
2008An Empirical Analysis of the Pricing of Collateralized Debt Obligations In: Journal of Finance.
[Full Text][Citation analysis]		article116
2006An Empirical Analysis of the Pricing of Collateralized Debt Obligations.(2006) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 116		paper
1996Throwing Good Money After Bad? Cash Infusions and Distressed Real Estate In: Real Estate Economics.
[Full Text][Citation analysis]		article4
1991General Equilibrium Stock Index Futures Prices: Theory and Empirical Evidence In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article26
1993Bid-Ask Spreads and Trading Activity in the S&P 100 Index Options Market In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article47
2005The Cherry-Picking Option in the U.S. Treasury Buyback Auctions In: Working Paper Series.
[Full Text][Citation analysis]		paper0
1993The valuation of options on coupon bonds In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article13
1996Valuing futures and options on volatility In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article94
1989A nonlinear general equilibrium model of the term structure of interest rates In: Journal of Financial Economics.
[Full Text][Citation analysis]		article62
1990The valuation of options on yields In: Journal of Financial Economics.
[Full Text][Citation analysis]		article19
1992Multiple equilibria and term structure models In: Journal of Financial Economics.
[Full Text][Citation analysis]		article17
2000The term structure of very short-term rates: New evidence for the expectations hypothesis In: Journal of Financial Economics.
[Full Text][Citation analysis]		article78
2001Throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market In: Journal of Financial Economics.
[Full Text][Citation analysis]		article27
2003Paper millionaires: how valuable is stock to a stockholder who is restricted from selling it? In: Journal of Financial Economics.
[Full Text][Citation analysis]		article92
2002Paper millionaires: How valuable is stock to a stockholder who is restricted from selling it?.(2002) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 92		paper
2004Corporate earnings and the equity premium In: Journal of Financial Economics.
[Full Text][Citation analysis]		article81
2003Corporate Earnings and the Equity Premium.(2003) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 81		paper
2010The subprime credit crisis and contagion in financial markets In: Journal of Financial Economics.
[Full Text][Citation analysis]		article271
1994Electronic Screen Trading and the Transmission of Information: An Empirical Examination In: Journal of Financial Intermediation.
[Full Text][Citation analysis]		article52
1994Calling Nonconvertible Debt and the Problem of Related Wealth Transfer Effect In: Financial Management.
[Citation analysis]		article10
2003Two Trees: Asset Price Dynamics Induced by Market Clearing In: NBER Working Papers.
[Full Text][Citation analysis]		paper3
2004Two Trees: Asset Price Dynamics Induced by Market Clearing.(2004) In: 2004 Meeting Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2004Financial Claustrophobia: Asset Pricing in Illiquid Markets In: NBER Working Papers.
[Full Text][Citation analysis]		paper5
2004Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities In: NBER Working Papers.
[Full Text][Citation analysis]		paper8
2009Municipal Debt and Marginal Tax Rates: Is there a Tax Premium in Asset Prices? In: NBER Working Papers.
[Full Text][Citation analysis]		paper1
2009Valuing Toxic Assets: An Analysis of CDO Equity In: NBER Working Papers.
[Full Text][Citation analysis]		paper10
2010Corporate Bond Default Risk: A 150-Year Perspective In: NBER Working Papers.
[Full Text][Citation analysis]		paper13
2010Why Does the Treasury Issue Tips? The Tips-Treasury Bond Puzzle In: NBER Working Papers.
[Full Text][Citation analysis]		paper25
2011Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe In: NBER Working Papers.
[Full Text][Citation analysis]		paper277
2012Macroeconomic Effects of Corporate Default Crises: A Long-Term Perspective In: NBER Working Papers.
[Full Text][Citation analysis]		paper4
2012Inflation Tracking Portfolios In: NBER Working Papers.
[Full Text][Citation analysis]		paper2
2012Disagreement and Asset Prices In: NBER Working Papers.
[Full Text][Citation analysis]		paper1
2013Deflation Risk In: NBER Working Papers.
[Full Text][Citation analysis]		paper6
2014Corporate Taxes and Capital Structure: A Long-Term Historical Perspective In: NBER Working Papers.
[Full Text][Citation analysis]		paper5
2014Valuing Thinly-Traded Assets In: NBER Working Papers.
[Full Text][Citation analysis]		paper4
2015The U.S. Debt Restructuring of 1933: Consequences and Lessons In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2016Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities In: NBER Working Papers.
[Full Text][Citation analysis]		paper16
2017Asset Mispricing In: NBER Working Papers.
[Full Text][Citation analysis]		paper22
2018Shadow Funding Costs: Measuring the Cost of Balance Sheet Constraints In: NBER Working Papers.
[Full Text][Citation analysis]		paper9
2018Floating Rate Money? The Stability Premium in Treasury Floating Rate Notes In: NBER Working Papers.
[Full Text][Citation analysis]		paper3
2020The Market Risk Premium for Unsecured Consumer Credit Risk In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2020Private Equity Returns: Empirical Evidence from the Business Credit Card Securitization Market In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2021Treasury Richness In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2023Do Municipal Bond Investors Pay a Convenience Premium to Avoid Taxes? In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2024Is Maturity-Transformation Risk Priced into Bank Deposit Rates? In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2024Financial Sophistication and Bank Market Power In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2002The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads In: NBER Working Papers.
[Full Text][Citation analysis]		paper30
2002The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices In: NBER Working Papers.
[Full Text][Citation analysis]		paper241
2004The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices.(2004) In: The Journal of Business.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 241		article
2001Valuing American Options by Simulation: A Simple Least-Squares Approach. In: The Review of Financial Studies.
[Citation analysis]		article960
2001Optimal Portfolio Choice and the Valuation of Illiquid Securities. In: The Review of Financial Studies.
[Citation analysis]		article84
2008Two Trees In: The Review of Financial Studies.
[Full Text][Citation analysis]		article19
1995Option Pricing and the Martingale Restriction. In: The Review of Financial Studies.
[Full Text][Citation analysis]		article98
1992Are Negative Option Prices Possible? The Callable U.S. Treasury-Bond Puzzle. In: The Journal of Business.
[Full Text][Citation analysis]		article20
2006The Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks In: The Journal of Business.
[Full Text][Citation analysis]		article103

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team